Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0311
Annualized Std Dev 0.2190
Annualized Sharpe (Rf=0%) 0.1418

Row

Daily Return Statistics

Close
Observations 4926.0000
NAs 1.0000
Minimum -0.1116
Quartile 1 -0.0057
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0067
Maximum 0.1589
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0138
Skewness -0.0534
Kurtosis 12.9308

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0098
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0099
Downside Deviation (0%) 0.0099
Maximum Drawdown 0.6318
Historical VaR (95%) -0.0208
Historical ES (95%) -0.0334
Modified VaR (95%) -0.0191
Modified ES (95%) -0.0191
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6318 3369 339 NA
2001-08-27 2003-03-12 2003-12-01 -0.3285 567 384 183
2006-05-10 2006-06-13 2006-10-26 -0.1576 119 24 95
2007-07-13 2007-08-16 2007-10-01 -0.1158 56 25 31
2004-04-13 2004-05-17 2004-10-06 -0.0981 123 25 98

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA 0.2 -0.5 2.1 0.4 0 2.2
2002 -0.2 1.9 0.6 0.5 -0.5 -0.8 -3.5 0 2.4 1.6 0.5 0.4 2.7
2003 0.8 1.6 1.6 0.4 0.2 0.6 0 0.1 3.3 -0.7 2 1.3 11.5
2004 -0.3 1.3 1.3 -0.5 0.2 -1.3 0.4 0.1 1.6 0.2 1.7 0.6 5.5
2005 0.6 0.6 -0.2 1.6 0.6 -0.1 1 1.2 -0.6 0.9 1.9 -0.5 7
2006 0.3 1 -0.7 0 0.6 1.3 -0.7 0.7 -0.2 -0.1 -0.1 -0.1 2
2007 0.8 -1.1 0.1 -0.1 0.7 0.6 0.2 1.8 1.3 -2.1 0.5 -0.6 2
2008 1.7 -2.5 3.2 0.6 0.6 -1.1 -1.5 -0.3 -0.7 0.7 -8.2 1.4 -6.5
2009 -0.9 0 2.6 1.2 2.5 1.7 1.5 -2.5 -2.6 -3.3 2.7 -0.7 1.8
2010 1.8 0.8 1.8 -1.3 -1 1.5 -0.3 3.6 1 -0.4 2.8 0.6 11.4
2011 2.4 -1.4 0.9 -0.5 -2.4 1.1 -1.3 -1.2 -3.4 -3.1 -0.9 0.5 -9
2012 1.6 1.1 0.9 0.4 -2.5 3.6 0 0.9 0.8 1.2 0.1 1.5 10
2013 0.8 -0.2 -1.4 -0.6 -1.9 0.9 1.4 -1.2 0.5 -0.5 0.2 0.4 -1.7
2014 -1.7 0.2 0.6 0.3 0 0.9 -0.7 0 -1.2 1.8 -0.1 -0.6 -0.5
2015 -1.6 0 0.7 1.1 -0.3 0.6 0.6 -3.4 0.3 -0.2 1.1 -1.3 -2.3
2016 -0.1 2.6 -1.1 -0.4 -0.1 0 -0.6 0.7 0.8 -0.4 -0.4 0.3 1.2
2017 0.4 1 -0.1 0.4 0.7 0.1 0.6 0.1 0.6 0.1 -0.4 0.1 3.5
2018 0.3 -1.7 0.9 -0.4 0.9 0.6 -0.5 -0.8 0.1 1.3 -0.4 0.2 0.4
2019 0 0.5 1.3 -0.6 -0.9 0.5 -0.3 0.4 -1 0.9 -0.7 0.5 0.5
2020 -1.7 -0.6 -4.4 -2.2 2.2 0.4 -2.1 0.1 0.6 -0.5 2.4 -0.8 -6.7
2021 1.2 1.9 0.3 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-08-17  42.0 SPY    117. -0.016    -0.0213  -0.0436  -0.100    -0.223       NA       NA <NA>     NA    NA       NA
2 2001-08-20  42.1 SPY    118.  0.00930  -0.0125  -0.0289  -0.105    -0.213       NA       NA <NA>     NA    NA       NA
3 2001-08-21  42.0 SPY    116. -0.0171   -0.0289  -0.0263  -0.119    -0.231       NA       NA <NA>     NA    NA       NA
4 2001-08-22  42.5 SPY    117.  0.0104   -0.0103  -0.0066  -0.0946   -0.222       NA       NA <NA>     NA    NA       NA
5 2001-08-23  42.3 SPY    117. -0.0036   -0.0173  -0.021   -0.100    -0.227       NA       NA <NA>     NA    NA       NA
6 2001-08-24  42.9 SPY    119.  0.0208    0.0194  -0.0111  -0.0709   -0.213       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart